European Monetary Union: a cointegration analysis

Haug, Alfred A.; MacKinnon, James G.; Michelis, Leo

doi:10.1016/s0261-5606(00)00013-9

Cited by 63 publications

(63 citation statements)

References 22 publications

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“…Further, we are able to show that cross-section cointegration exists in the sense of a long-run relationship between the common factors of exchange rates and fundamentals. The pattern of these results is in line with previous studies by Haug et al (2000), Phengpis andNguyen (2009) andKühl (2010) which report cointegration between exchange rates across countries.…”

Section: Discussionsupporting

confidence: 91%

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Cross-section dependence and the monetary exchange rate model – A panel analysis

Beckmann

Belke

Dobnik

2012

The North American Journal of Economics and Finance

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This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and fundamentals which is driven by those common international trends. In addition, the estimated coefficients of income and money are in line with the suggestions of the monetary model. JEL-Classification: C32, C23, F31, F41

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Section: Discussionsupporting

confidence: 91%

“…Evidence for this kind of relationships has been found both before and after the introduction of the Euro by different authors (see, e.g., Haug, MacKinnon, and Michelis (2000); Kühl (2010)). …”

mentioning

confidence: 86%

Cross-section dependence and the monetary exchange rate model – A panel analysis

Beckmann

Belke

Dobnik

2012

The North American Journal of Economics and Finance

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“…the endogeneity mechanism has not been very effective. This is consistent with the evidence based on pre-euro data (Haug et al, 2000;von Hagen and Neumann, 1994), and favours the specialisation theory of Krugman (1993) rather than the endogeneity hypothesis of Frankel and Rose (1998).…”

Section: Rolling Averagessupporting

confidence: 90%

Trade Intensity and Output Synchronisation: On the Endogeneity Properties of EMU

2013

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Using annual bilateral data over the period 1988-2011 for a panel of 24 industrialised and emerging economies, we analyse in a time-varying framework the determinants of output synchronisation in EMU (European Monetary Union) distinguishing between core and peripheral member states. The results support the specialisation paradigm rather than the endogeneity hypothesis. Evidence is found in the euro period of diverging patterns between the core and the peripheral EMU countries raising questions about the future stability of EMU. JEL Classifications: F10, F15, F17, F4

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“…Five submodels are commonly derived from these interactions. These submodels are derived in detail in Johansen (1994), Haug et al (2000) and Koukouritakis and Michelis (2008). We give the results from these five submodels following the ordering in Haug et al (2000) and Koukouritakis and Michelis (2008) from the most to least restrictive.…”

Section: If X Is An N Dimensional Column Vector Of I(1) Variables a mentioning

confidence: 99%

International Financial Integration of the Indian Money Market

Buigut¹,

Rao²

2011

IJEF

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The study investigates whether the financial liberalization undertaken in India has resulted in integration of Indian markets with global markets. First, we investigate covered interest rate parity (CIP) between India and the US using 3 month interbank interest rates and 1 year swap rates. The results show little evidence of a long term equilibrium relationship between the domestic interest rate and the covered interest rate. The mostly negative results indicate the presence of a country risk premium and/or binding regulations on capital movements and/or binding restrictions on interbank borrowing and lending. Next, we use a Vector Error Correction Model (VECM) to study the dynamics between the Indian interest rate, the covered interest rate and the US interest rate. The results show some degree of cointegration among Indian and US interest rates, suggesting that linkages less direct than covered interest arbitrage may exist between US and Indian money markets.

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European Monetary Union: a cointegration analysis

Abstract: This paper employs systems-based cointegration techniques developed by Johansen (1998,

Cited by 63 publications

References 22 publications

Cross-section dependence and the monetary exchange rate model – A panel analysis

Cross-section dependence and the monetary exchange rate model – A panel analysis

Trade Intensity and Output Synchronisation: On the Endogeneity Properties of EMU

International Financial Integration of the Indian Money Market

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